Morrowind by a mile. It had a better story than either Daggerfall or Oblivion with better writing and better characters. It also had a more intricately designed world with interesting locations, lots of hidden loot to find and great atmosphere that veered from majestic to creepy and back again depending on where you were.

To be honest I have never really played Arena though, other than loading it up and messing with it a bit when Bethesda made it freeware.